Yes, it is possible to store entire files in SQL Server as BLOBs (large binary objects). Be advised that depending on the number of files and the size of those files, SQL Server's data and log files may get very large is you are using this approach.
You may want to look at using SQL Server's FILESTREAM capabilities: There is a good overview on Microsoft TechNet @ http://technet.microsoft.com/en-us/library/bb933993(v=sql.105).aspx